EN202

Homework 2

Varun Munjal

SU13

08/09/2013

504109452

Beta Distribution
Introduction
Beta distribution is a continuous probability distribution model defined on an interval of [0,1]. It
parametrized by two positive numbers, and both of which are shape parameters. The Beta
distribution model can be used in situations where the time interval is of a fixed duration. For example,
statistical distributions of time allocation in project management or control systems.

Probability Density Function

For a random variable X, and parameters k and , the probability density function of a Beta distribution
is given by:

x; , 

1
 1  
, 

for 0   1 and  0,  0
Where,
and are shape parameters
,  = is the Beta function which ensures that the probability density function normalizes to 1.


,    1   


It can also be described in terms of the Gamma function as follows:

, 


  

Which follows that:

, 

  1!   1!
    1!

A generalization of the Beta function is called the incomplete Beta function and defined as:


x; ,     1   



Normalization
For positive values of and , the probability density function of the Beta distribution is properly
normalized
Proof:
Find the integral from 0 to 1 of the probability density function.


1

, 



1  ! 

Substitute the definition of the Beta function:



"


" 



1  ! 

 1 

! 

Which is simply:
 ,!
 ,!

=1
This proves that the probability density function is properly normalized.

Cumulative Distribution
The cumulative distribution function of the beta distribution is the integral:


# , ,  

1

, 



1  ! 

For for 0   1
# , $, 

x; , 
, 

Where x; ,  s called the incomplete Beta function.

The closed form for the cumulative distribution function is defined for some special cases.
For >1 and =1
# , ,  
For =1 and >1

# , ,  1  1  
The cumulative function can be evaluated numerically using MS Excel function BETADIST
Usage:

  &'()*+,(-, , , false
#  &'()*+,(-, , , true
Examples:

Probability Density Function

1.2

=3

f(x)

0.8

=1, =3

0.6

=2, =3
=2, =9

0.4

0.2

0
0

0.2

0.4

0.6

0.8

Special cases
Relationship with Binomial distribution
Consider the cumulative distribution function of Beta distribution:
# ; , 

7
1
   1   . 
,  

Substitute 1   8 and    9

  1:  8
9  9




Integrating by parts:
# ; , 

7
7
1
1
 8. 9
89   9. 8
,  
, 


Substituting another definition of the Beta function , 

!!
and
;!

the expression for du

# ; , 

    1!   1  
1
1 7

.
 1  :   . 
  1!   1!

,   

# ; , 

    1! 
1
1 7
 1   
.
 1  :   . 
!   1!
,   

1 
1
1 7

# ; ,  <
=  1  

.
 1  :  : . 

,   
A Binomial distribution is expressed in the form:
?
&>?$; ?, @ A B @C 1  @DC
$
Now, assume:
? 1

@ 
Then,
1 
&>?;     1,  <
=  1  

which is the same as the first term of the right hand side of the expression.
The second term of the right hand side of the expression can be written as:
    1!   1 7
.
 1  :  : . 
  1!   1! 

    1! 7
 1  :   . 
!   2! 

7
1
 1    ; . 
  1,   1 

Which is the same as,

# ;  1,  1
Therefore,
# ; ,  # ;  1,  1  &>?;     1, 
# ; ,  # ;  2,  2  &>?  1;     1,   &>?;     1, 
And so on. Since the parameters of the Beta distribution have to be positive, this expression can be
evaluated recursively for -2 times more.
# ; ,  # ;   1,1 
    1 ; 
# ; ,  <
=

1
# ; , 

;:

1 G
F <
= 1  ;G
>
GH

;:

1 G
F <
= 1  ;G
>
GH

;

1 G
F <
= 1  ;G
>
GH

Reliability function
The reliability function is evaluated using MS Excel.
I 1  &'()*+,((, $, , true

Failure function
Failure function is evaluated using MS Excel.
# &'()*+,((, $, , true

Failure rate

J


I

&'()*+,((, $, , false
1  &'()*+,((, $, , true

J

Inverse function
The probability density function can be found by computing the inverse of the failure function.
&'()+KL# , , 

Moment generating function

The nth moment can be calculated using:


MD  D
 ; , 


MD  D


MD 

1
 1   
, 

1
;D 1   
, 

Using the definition of the Beta function,

MD

  n, 
, 

This form is easier to use than a generic moment generating function.

Higher order moments

First moment:
Directly calculate the first moment using the expression derived earlier
M
M

  1, 
, 

!   1!    1!
.
  !   1!   1!
M

Mean:
M((#

Median:
Since the cumulative distribution function has no closed form, the median expression does not have a
closed form either. It can be evaluated using MS Excel
Mode:
Differentiate the probability density function f(x) with respect to x and find the maxima.

1
<
 1   = 0
 , 

1
O  1 : 1      1  1  : P 0
, 

1
2
QRS

1
2

Second moment:
Directly calculate the second moment using the expression derived earlier
M:

  1
    1  

Variance:
9TU M: M:

  1
:


    1  

9TU


    1  :

Third moment:
Differentiate the moment generating function with respect to y three times and set y = 0.
MV

  3  2  1
    2    1  

Skewness:
X

1
M  3M M:  2MV 
YV V

X

2  Z    1
    2Z

Since and are always positive, the beta distribution function is always positively skewed

Independent Beta distributions

If x and y are tow independent beta variables with parameters (1, 1) and (2, 2). Then their joint
distribution is:
1
1
[  1  [  \ ]  1  \]   \
 ,   : , : 
Put 8 and ^ \. The joint distribution of u and z is:
_R?`. 8[ ] ] 1  8[  ^ ]  1  \]  8^
_R?`. 1  8[  ^ ]  1  \]  8^

if  :  :

Integrating over 8, the distribution of z is obtained as:

1
^ ]  1  \[ ;]  ^
: ,   : 
This shows that the product of two beta variables, with parameters (1, 1) and (2, 2) such that
 :  : is distributed as a Beta variable with parameters (2, 1 + 2).
In general, the product of beta variables, with parameters (1, 1), (2, 2) ..(k, k) such that
G G;  G; is distributed as a beta variable with parameters (k, 1+ 2+ 3. k)

References
1. Richard J Larsen, Morris L Marx (1986). Mathematical Statistics and its Applications, PrenticeHall, Chapter 7, page 340

2. C. Radhakrishna Rao (1952). Advanced Statistical Methods in Biometric Research, Wiley,

Chapter 2, pages 41-42
3. Robert V. Hogg, Joseph W. McKean, Allen Thornton Craig (2005). Introduction to Mathematical
Statistics, Pearson Education, Chapter 2
4. Christian Walck (2007). Hand-book on Statistical Distributions for Experimentalists, University
of Stockholm, Chapter 17, pages 13-15
5. Wikipedia, http://en.wikipedia.org/wiki/Beta_distribution
6. http://www.math.uah.edu/stat/special/Beta.html